How to prevent Blender from disabling dyntopo when exiting/entering sculpt mode?
This problem has finally been noticed by Blender developers and included in 2.78 release.

"Enable dyntopo re-entering sculpt mode"
https://developer.blender.org/D2059

Dynamic topology will be re-enabled automatically when entering sculpt mode, but only if uv's, vertex colors or triangulating won't be affected.